The story makes sense just fine. Let me lay out some of my thinking.
1. Nar specifically states at the end that he was speaking to Saruman. There is absolutely no reason whatsoever for Gandalf to pretend to Nar that he is Saruman. On the other hand, Saruman has reasons to use Nar (discussed below). I believe we can safely assume Nar's friend really is Saruman.
2. As others have pointed out, there is an ancient prophesy from Malbeth the Seer regarding the Paths of the Dead (which essentially suggests that Isildur's heir will walk the Paths and command the Oathbreakers to fulfill their oath). As one of the Wise, it is far more believable that Saruman knew of it than that he did not. Saruman would also have made a close study of every scrap of information he could glean regarding Isildur at the time of the Last Alliance, as well Gondorian legends generally. Saruman certainly would have known of Erech, the Oathbreakers and the Paths of the Dead. Furthermore, Saruman has lived in Orthanc, which is near the Paths of the Dead, for a very long time. It is entirely believable that Saruman would have made the effort to become well-acquainted with his surroundings and the local legends.
3. Saruman has a Palantir as well as many spies. It is no stretch at all to imagine that he was aware of the movement of the Grey Company out of Rivendell. In fact, we ourselves tell his servant Lotho Sackville Baggins about the trip south in 3.1. The more pressing question is whether he could have learned about the specific orders Elrond gave his sons regarding Aragorn and the Paths of the Dead. In strict lore terms that is difficult because the palantiri gave the power of sight but not sound. However, for my part I am prepared to allow Turbine a small lore break on that point if they need it. Alternatively, I can accept that somehow one of Saruman's spies managed to overhear the sons of Elrond discussing it privately with Halbarad. How about one of the crebain, which are all over the Trollshaws? If the ravens and thrushes of Erebor can understand human speech, why not the crebain?
4. Saruman knows of Malbeth's prophesy, and he knows that Elrond wants to give Aragorn the reminder that the Paths of the Dead are available if the situation is dire. Saruman is worried that this could be just the variable that tips the scales in favor of the Gondor and Rohan. Remember that Saruman is a Maia in mortal form just like Gandalf, and presumably has the instincts and limited foreknowledge that Gandalf demonstrated from time to time. Saruman needs to figure out a way to dissuade the Rangers (and ultimately Aragorn) from taking the Paths. He therefore concocts a scheme to try to scare them out of it. When the initial attempt to do so (3.2) fails, Saruman gets even more devious (3.3) and manipulates the Rangers into trying to verify that the Oathbreakers would be willing to serve Isildur's heir if he demands it. Saruman sends the Rangers to the Forsaken Road and what he believes is certain doom. He doesn't expect any who enter will survive. He certainly doesn't expect that the Rangers will be able to extract from the leader of the dead a statement that he WOULD serve Isildur's heir if he had in fact been present rather than an imposter. The critical detail that eluded Saruman here just might be the Ring of Barahir gambit that the Rangers stumbled into, by chance as it were. But for that element, who knows what the leader of the Forsaken might have said to Candaith? Saruman no doubt also had the secondary motive of delaying and weakening the Grey Company.
5. This story isn't done yet. Wadu and Nona appear to be an irrelevant side plot at this point, but do we really believe Nona is completely out of the picture? I sure don't. I believe Turbine is laying the foundations for a later plot development. There is also a curious detail in one of the old texts in the library that Turbine had us read. They point to a dwarf settlement in the White Mountains and a hidden cavern there with something sealed inside. For those of you keeping score at home, the Paths of the Dead are located in the White Mountains, and Orthanc is near them. Saruman was looking at those books for a reason. That reason is why he knew Nar in the first place. Using Nar to try and derail the Grey Company was simply an opportunistic play using an existing tool. My own palantir says that this other dwarf settlement and the mysterious cavern play a key role in future chapters of the epic quest line.
As a final note, we have been discussing Nar and his mystery for some time in this thread here:
http://forums.lotro.com/showthread.p...-Game-Spoilers You may find it interesting (or not).